Network Account
The PlayStation Network is the quickest and easiest way to download content onto your PSP. You can set up an account on your PSP by accessing the network directly from your crossbar at the home menu. The menu is found at the right end of the crossbar. Select Account Management to log on to the network and fill out the forms to create your PlayStation Network account. You may need to update your PSP's firmware before accessing the PlayStation Network or Store. The System Update option is located under the Settings menu on your crossbar. An update can be completed in a few minutes.
Playstation Store
Once you have a PlayStation Network account you can access the Playstation Store, also located on your crossbar menu. Once you've connected, you will be brought to the main virtual storefront. From there, you can navigate through the various sections with your directional pad and Enter button. When you make a selection, the new content will be automatically downloaded onto your memory stick, assuming you have enough room for it. You can check your available space before logging on through the memory stick icon found under the Game menu on your crossbar.
Third-Party Websites
While the PlayStation Network is the easiest and safest way to download content, there are also third-party websites that offer PSP content. Most often, they will offer PSP wallpapers and themes. Log on to these sites via the built in web browser, found underneath the Network menu on your crossbar. Simply type in the address and then navigate using either the directional pad or the analogue stick. Look for a download link and select with your Enter button to bring up the save menu and select the appropriate folder for your download.
Downloading from your PC
If you don't have wireless access for your PSP, you will need to use another method to access the PlayStation Network. Sony offers special software called Media Go that allows you to connect to the PlayStation Network from your computer and transfer your downloaded content to your PSP via a USB cable. The USB cable can also be used to transfer music, video and picture files, just as if you were moving them from one folder to another on your PC.